Measure, Integration & Real Analysis

Transcription

1 v Measure, Integration & Real Analysis preliminary edition 10 August 2018 Sheldon Axler

2 Dedicated to Paul Halmos, Don Sarason, and Allen Shields, the three mathematicians who most helped me become a mathematician.

3 Contents (tentative beyond Chapter 7) Preface for Students Acknowledgments xiii xii 1 Riemann Integration 1 1A Review: Riemann Integral 2 Exercises 1A 7 1B Why the Riemann Integral is Not Good Enough 9 2 Measures 13 Exercises 1B 12 2A Outer Measure on R 14 Motivation and Definition of Outer Measure 14 Good Properties of Outer Measure 15 Outer Measure of a Closed Bounded Interval 18 Outer Measure is Not Additive 21 Exercises 2A 23 2B Measurable Spaces and Functions 25 σ-algebras 26 Borel Subsets of R 28 Inverse Images 29 Measurable Functions 31 Exercises 2B 38 2C Measures and Their Properties 41 Definition and Examples of Measures 41 Properties of Measures 42 Exercises 2C 45 2D Lebesgue Measure 47 Additivity of outer measure on Borel sets 47 Lebesgue Measurable Sets 52 vii

4 viii Contents (tentative beyond Chapter 7) Cantor Set 55 Exercises 2D 58 2E Functions on Measure Spaces 60 3 Integration 71 Pointwise and Uniform Convergence 60 Egorov s Theorem 61 Approximation by Simple Functions 63 Luzin s Theorem 64 Lebesgue Measurable Functions 67 Exercises 2E 69 3A Integration with Respect to a Measure 72 Integration of Nonnegative Functions 72 Monotone Convergence Theorem 78 Integration of Real-Valued Functions 80 Exercises 3A 83 3B Limits of Integrals & Integrals of Limits 85 4 Differentiation 98 Bounded Convergence Theorem 85 Sets of Measure 0 in Integration Theorems 86 Dominated Convergence Theorem 87 Riemann Integrals and Lebesgue Integrals 90 Approximation by Nice Functions 92 Exercises 3B 96 4A The Hardy Littlewood Maximal Function 99 Markov s Inequality 99 Vitali Covering Lemma 100 Hardy Littlewood Maximal Inequality 101 Exercises 4A 103 4B Derivatives of Integrals 105 Lebesgue Differentiation Theorem 105 Derivatives 107 Density 109 Exercises 4B 112

5 Contents (tentative beyond Chapter 7) ix 5 Product Measures 114 5A Products of Measure Spaces 115 Products of σ-algebras 115 Monotone Class Theorem 118 Products of Measures 121 Exercises 5A 126 5B Iterated Integrals 127 Tonelli s Theorem 127 Fubini s Theorem 129 Area Under the Graph of a Function 131 Exercises 5B 133 5C Lebesgue Integration on R N 134 Borel Subsets of R N Banach Spaces 144 Lebesgue Measure on R N 137 The Volume of the Unit Ball in R N 138 Equality of Mixed Partial Derivatives Via Fubini s Theorem 140 Exercises 5C 142 6A Vector Spaces 145 Integration of Complex-Valued Functions 145 Vector Spaces and Subspaces 148 Exercises 6A 151 6B Normed Vector Spaces L p Spaces 168 Norms and Cauchy Sequences 152 Open Sets, Closed Sets, and Continuity 156 Bounded Linear Maps 159 Linear Functionals 162 Exercises 6B 164 7A L p (µ) 169 Hölder s Inequality 169 Minkowski s Inequality 173 Exercises 7A 174

6 x Contents (tentative beyond Chapter 7) 7B L p (µ) Hilbert Spaces 185 Definition of L p (µ) 177 L p (µ) is a Banach Space 179 Duality 181 Exercises 7B 183 8A Inner Product Spaces 186 Inner Products 186 Cauchy Schwarz Inequality and Triangle Inequality 189 Exercises 8A 196 8B Orthogonality 199 Orthogonal Projections 199 Orthogonal Complements 204 Riesz Representation Theorem 208 Exercises 8B 209 8C Orthonormal Bases 212 Exercises 8C Linear Maps on Hilbert Spaces 215 9A Adjoints 216 9B Compact Operators 217 9C Spectral Theorem for Compact Normal Operators 218 Exercises 9C Fourier Analysis A Fourier Series B Fourier Transforms 221 Exercises 10B Signed and Complex Measures A Dual of C(K) B The Cantor Function 224 Exercises 11B 225

7 Contents (tentative beyond Chapter 7) xi 11C Absolute Continuity 228 Integrals of Derivatives 228 Radon Nikodym Theorem 228 Functions of Bounded Variation D Lebesgue Stieltjes Integration 229 Exercises 11D Probability Measures 230 Exercises Appendix: The Real Numbers and R N 232 A Complete Ordered Fields 233 Fields 233 Ordered Fields 234 Completeness 238 Exercises A 241 B Construction of the Real Numbers: Dedekind Cuts 243 Exercises B 247 C Supremum and Infimum 248 Archimedean Property 248 Greatest Lower Bound 249 Irrational Numbers 251 Intervals 252 Exercises C 253 D Open and Closed Subsets of R N 256 Limits in R N 256 Open Subsets of R N 258 Closed Subsets of R N 261 Exercises D 264 E Sequences and Continuity 266 Bolzano Weierstrass Theorem 266 Continuity and Uniform Continuity 269 Max and Min on Closed Bounded Subsets of R N 271 Exercises E 272 Photo Credits 275